Estimating Geweke’s (1982) Measure of Instantaneous Feedback

Stata Journal, Vol. 13, No 1, pp. 136-140, 2013

5 Pages Posted: 15 Sep 2011 Last revised: 29 Aug 2013

Mehmet F. Dicle

Loyola University New Orleans - Joseph A. Butt, S.J. College of Business; Research ATA, LLC

Loyola University New Orleans

Date Written: August 13, 2012

This note describes the gwke82 program, which implements instantaneous feedback measure for two time series following Geweke (1982).

Keywords: Geweke, Granger, Causality, VAR, Time Series, Instantaneous Feedback

JEL Classification: C1, C13, C3

Suggested Citation: Suggested Citation

Dicle, Mehmet F. and Levendis, John, Estimating Geweke’s (1982) Measure of Instantaneous Feedback (August 13, 2012). Stata Journal, Vol. 13, No 1, pp. 136-140, 2013, Available at SSRN: https://ssrn.com/abstract=1927519 or http://dx.doi.org/10.2139/ssrn.1927519